This is because spotlights only cast stencil shadows, also the sun. Stencil shadows aren't made for shadowing a whole scene. They should only be used for Players or other small objects which are moving because they are very slow.

Then there is the static shadowmapping. Which isn't influenced by dynamic lights. The lightmap is not created in real time. For realtime lightning you need shaders and methodes like variance shadowmapping,...
You should find out the differenc between static, good looking lightning and the dynamic shadows which aren't looking that great but are dynamic. The manual explains this in detail.

Dark_Samurai